365 research outputs found
Maria Rebecca Ballestra. Changing Perspectives / Cambiando prospettive
No full textLe fotografie, le installazioni, le performance, i video e i progetti relazionali di Maria Rebecca Ballestra affrontano da punti di vista insoliti alcune fra le più urgenti problematiche del nostro tempo, da quelle connesse alla globalizzazione e alle conseguenti trasformazioni in campo politico, economico sociale a quelle legate alla necessità di definire una nuova etica nei campi della ricerca scientifica e tecnologica
Maria Rebecca Ballestra. Journey into Fragility
No full textPartendo da una riflessione intorno al manifesto ecosofico "Carta per la Terra e per l'Uomo" (2001), sottoscritto da cento poeti di diverse nazionalità, molti dei quali insigniti di premi Nobel e Pulitzer, il progetto relazionale Journey into Fragility dell'artista Maria Rebecca Ballestra si è articolato in dodici tappe che si sono svolte in altrettanti paesi del mondo, scelti in base alla loro capacità di offrire speciali condizioni per fare esperienza diretta di alcune delle molte problematiche che mettono a repentaglio il nostro pianeta
A fast numerical method to price American options under the Bates model
No full textWe consider the problem of pricing American options in the framework of a well-known stochastic volatility model with jumps, the Bates model. According to this model, the price of an American option can be obtained as the solution of a linear complementarity problem governed by a partial integro-differential equation. In this paper, a numerical method for solving such a problem is proposed. In particular, first of all, using a Bermudan approximation and a Richardson extrapolation technique, the linear complementarity problem is reduced to a set of standard linear partial differential problems (see, for example, Ballestra and Sgarra, 2010; Chang et al. 2007, 2012). Then, these problems are solved using an ad hoc pseudospectral method which efficiently combines the Chebyshev polynomial approximation, an implicit/explicit time stepping and an operator splitting technique. Numerical experiments are presented showing that the novel algorithm is very accurate and fast and significantly outperforms other methods that have recently been proposed for pricing American options under the Bates model
A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates
No full textWe consider the problem of pricing European interest rate derivatives based on the LIBOR Market Model (LMM) with one driving factor. We derive a closed-form approximation of the transition probability density functions associated to the stochastic dynamical systems that describe the behaviour of the forward LIBOR interest rates in the LMM. These approximate formulae are based on a truncated power series expansion of the solutions of the Fokker-Planck equations associated to the LMM. The approximate probability density functions obtained are used to price European interest rate derivatives using the method of discounted expectations. The resulting integrals are low dimensional when the most commonly traded European interest rate derivatives are considered, and they can be computed efficiently using elementary numerical quadrature schemes (i.e. Simpson's rule). The algorithm obtained is very well suited for parallel computing and is tested on the problem of pricing several derivatives including an European swaption and an interest rate spread option. In both cases, the method proposed in this paper appears to be accurate (i.e. relative error of order 10(-2), 10(-3), or even 10(-4)) and approximately between 278 and 63 000 times faster than previous methods based on the Monte Carlo simulation of the LMM stochastic dynamical systems. The website http://www.econ.univpm.it/pacelli/ballestra/finance/w2 contains material that helps the understanding of this paper and makes available to the interested users the computer programs that implement the numerical method proposed. (c) 2007 Elsevier Ltd. All rights reserved
A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates
No full textWe consider the problem of pricing European interest rate derivatives based on the LIBOR Market Model (LMM) with one
driving factor. We derive a closed-form approximation of the transition probability density functions associated to the stochastic
dynamical systems that describe the behaviour of the forward LIBOR interest rates in the LMM. These approximate formulae
are based on a truncated power series expansion of the solutions of the Fokker–Planck equations associated to the LMM. The
approximate probability density functions obtained are used to price European interest rate derivatives using the method of
discounted expectations. The resulting integrals are low dimensional when the most commonly traded European interest rate
derivatives are considered, and they can be computed efficiently using elementary numerical quadrature schemes (i.e. Simpson’s
rule). The algorithm obtained is very well suited for parallel computing and is tested on the problem of pricing several derivatives
including an European swaption and an interest rate spread option. In both cases, the method proposed in this paper appears to
be accurate (i.e. relative error of order 10−2, 10−3, or even 10−4) and approximately between 278 and 63 000 times faster than
previous methods based on the Monte Carlo simulation of the LMM stochastic dynamical systems.
The website http://www.econ.univpm.it/pacelli/ballestra/finance/w2 contains material that helps the understanding of this paper
and makes available to the interested users the computer programs that implement the numerical method proposed
" A numerical method to price European derivatives based on factor LIBOR Market Model of interest rates"
No full textWe consider the problem of pricing European interest rate derivatives based on the LIBOR Market Model (LMM) with one
driving factor. We derive a closed-form approximation of the transition probability density functions associated to the stochastic
dynamical systems that describe the behaviour of the forward LIBOR interest rates in the LMM. These approximate formulae
are based on a truncated power series expansion of the solutions of the Fokker–Planck equations associated to the LMM. The
approximate probability density functions obtained are used to price European interest rate derivatives using the method of
discounted expectations. The resulting integrals are low dimensional when the most commonly traded European interest rate
derivatives are considered, and they can be computed efficiently using elementary numerical quadrature schemes (i.e. Simpson’s
rule). The algorithm obtained is very well suited for parallel computing and is tested on the problem of pricing several derivatives
including an European swaption and an interest rate spread option. In both cases, the method proposed in this paper appears to
be accurate (i.e. relative error of order 10−2, 10−3, or even 10−4) and approximately between 278 and 63 000 times faster than
previous methods based on the Monte Carlo simulation of the LMM stochastic dynamical systems.
The website http://www.econ.univpm.it/pacelli/ballestra/finance/w2 contains material that helps the understanding of this paper
and makes available to the interested users the computer programs that implement the numerical method proposed
Mechanical fatigue analysis of gold microbeams for RF-MEMS applications by pull-in voltage monitoring
No full textNumerical solutions of a viscous-hydrodynamic model for semiconductors: the supersonic case
No full textIn this paper, we solve by a finite difference upwinded method an extended
hydrodynamic model for semiconductors, with viscous terms in the momentum equation.
In particular, we consider the simulation of a one-dimensional n+-n -n+ diode, whose solution
exhibits at low temperatures strong discontinuities, and investigate the effect of the momentum
viscosity on the shock waves. Numerical experiments, performed also on a two-dimensional test
case, demonstrate that the numerical scheme, working on non-uniform grids, is suitable to describe
solutions with strong variations in time and space. Well-posedness for the boundary conditions is
discussed, and a linear stability estimate is established for the one-dimensional n+-n -n+ diode
benchmark problem
The open innovation journey along heterogeneous modes of knowledge-intensive marketing collaborations: a cross-sectional study of innovative firms in Europe
No full textPurpose: Previous research focused on open innovation (OI) suggests that enterprises benefit from adopting the journey; however, the relationship among OI, marketing journey and knowledge-intensive innovation marketing activities (KIIMA) remains unclear. The present study proposes a conceptual model of the marketing journey linking heterogeneous modes of marketing collaboration to knowledge-intensive activities. Design/methodology/approach: The conceptual model was tested via ordinary least squares (OLS) linear regression based on a sample of data drawn from the Eurostat database. Findings: The results indicate that strategies are a robust proxy for evaluating KIIMA, and partnerships, heterogeneous sources of knowledge and different marketing modes for collaboration among European knowledge-intensive firms are core antecedents of KIIMA, such as new-product development and marketing innovation, as well as firms' sustainable competitive advantage. Originality/value: This study fills the gap by tracking the role of the journey within marketing collaborations on KIIMA, and it intervenes in the debate about interactive marketing innovation mechanisms. The study contributes to OI, knowledge management and the marketing literature by identifying the heterogeneous modes for marketing collaborations under which the marketing journey enhances knowledge-intensive activities such as those for marketing innovation
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